CAPTOR FUND MANAGEMENT

An introduction to the openseries Python package

First we set it all up

from openseries.series import OpenTimeSeries
from openseries.frame import OpenFrame

from plotly.offline import init_notebook_mode
from plotly.offline import iplot

init_notebook_mode()

Here we fetch NAV (price per unit) for some of the Captor mutual funds

basket = OpenFrame(
    [
        OpenTimeSeries.from_open_nav(isin="SE0009807308"),
        OpenTimeSeries.from_open_nav(isin="SE0011337195"),
        OpenTimeSeries.from_open_nav(isin="SE0010494849"),
        OpenTimeSeries.from_open_nav(isin="SE0011670843"),
    ], weights=[
        0.25, 
        0.25, 
        0.25, 
        0.25])

basket = basket.trunc_frame().to_cumret()

We then make a portfolio of the funds based on the provided weights

portfolio = OpenTimeSeries.from_df(basket.make_portfolio("Portfolio"))
basket = basket.add_timeseries(portfolio)

And create a Plotly plot of all the data

figure, _ = basket.plot_series(tick_fmt='.1%', auto_open=False, output_type="div")

We display the plot in the notebook

figure = figure.update_layout(legend=dict(yanchor="bottom", y=0.02, xanchor="right", x=0.98))
iplot(figure, link_text='')

Here we calculate and display a Pandas Dataframe with some analyses

df = basket.all_properties(properties=[
        "geo_ret",
        "vol",
        "ret_vol_ratio",
        "sortino_ratio",
        "worst_month",
        "cvar_down",
        "max_drawdown",
        "first_indices",
        "last_indices",
    ]
)

df.columns = df.columns.droplevel(level=1)

formats = [
        "{:.2%}",
        "{:.2%}",
        "{:.2f}",
        "{:.2f}",
        "{:.2%}",
        "{:.2%}",
        "{:.2%}",
        "{:%Y-%m-%d}",
        "{:%Y-%m-%d}",
    ]

for item, f in zip(df.index, formats):
    df.loc[item] = df.loc[item].apply(
        lambda x: x if isinstance(x, str) else f.format(x)
    )

df

	Captor Iris Bond	Captor Dahlia Green Bond	Captor Scilla Nordic Equity	Captor Scilla Global Equity	Portfolio
Geometric return	0.91%	1.16%	12.01%	6.33%	5.28%
Volatility	4.56%	1.86%	13.18%	13.24%	6.51%
Return vol ratio	0.20	0.62	0.91	0.48	0.81
Sortino ratio	0.28	0.80	1.18	0.62	1.04
Worst month	-3.35%	-4.83%	-9.58%	-12.25%	-6.86%
CVaR 95.0%	-0.65%	-0.30%	-2.11%	-2.12%	-1.03%
Max drawdown	-7.44%	-5.95%	-27.54%	-30.98%	-16.83%
first indices	2019-02-12	2019-02-12	2019-02-12	2019-02-12	2019-02-12
last indices	2022-01-13	2022-01-13	2022-01-13	2022-01-13	2022-01-13

Thank you for listening